Book contents
- Frontmatter
- Dedication
- Contents
- Tables, Figures, Charts
- Preface
- Acknowledgements
- Abbreviations
- 1 Introduction to Credit Risk
- 2 Credit Rating Models
- 3 Approaches for Measuring Probability of Default (PD)
- 4 Exposure at Default (EAD) and Loss Given Default (LGD)
- 5 Validation and Stress Testing of Credit Risk Models
- 6 Portfolio Assessment of Credit Risk: Default Correlation, Asset Correlation and Loss Estimation
- 7 Economic Capital and RAROC
- 8 Basel II IRB Approach of Measuring Credit Risk Regulatory Capital
- Index
Contents
Published online by Cambridge University Press: 05 May 2016
- Frontmatter
- Dedication
- Contents
- Tables, Figures, Charts
- Preface
- Acknowledgements
- Abbreviations
- 1 Introduction to Credit Risk
- 2 Credit Rating Models
- 3 Approaches for Measuring Probability of Default (PD)
- 4 Exposure at Default (EAD) and Loss Given Default (LGD)
- 5 Validation and Stress Testing of Credit Risk Models
- 6 Portfolio Assessment of Credit Risk: Default Correlation, Asset Correlation and Loss Estimation
- 7 Economic Capital and RAROC
- 8 Basel II IRB Approach of Measuring Credit Risk Regulatory Capital
- Index
Summary
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- Information
- Managing Portfolio Credit Risk in Banks , pp. viiPublisher: Cambridge University PressPrint publication year: 2016